Since 2007, the operating conditions of companies have changed significantly and can be described as more unpredictable. Insolvency of one company may, by the domino effect, have negative impacts on other operators. In extreme cases, these impacts can lead to their bankruptcy. Therefore, it is...

Since 2007, the operating conditions of companies have changed significantly and can be described as more unpredictable. Insolvency of one company may, by the domino effect, have negative impacts on other operators. In extreme cases, these impacts can lead to their bankruptcy. Therefore, it is...

Swap spreads – the spreads between the fixed rate of IRS and the yield of treasury bonds with the same maturity are very useful measure of liquidity and credit premium in the interbank market. Furthermore, they do not have the main flaw of LIBOR-OIS spread, which is that. very seldom...

This article attempts to verify the presence of long memory in volatility in the Indian foreign exchange market using daily bilateral returns of the Indian Rupee against the US dollar from 17/02/1994 to 08/11/2013. In the first part of the analysis the presence of long-term dependence is...